Macrofinancial risk analysis.

MaRDI QIDQ3598891zbMATH OpenFDO

Authors Dale F. Gray, Samuel W. Malone

Publication date 3 February 2009

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Macroeconomic theory (monetary models, models of taxation) (91B64)

Recommendations

• Measuring systemic risk. A probabilistic perspective
• Financial risk measurement and management
• Macro-Finance*
• Quantitative risk management. Concepts, techniques and tools
• Extreme financial risks and asset allocation

Cited in

(5)

• Systemic risk measures
• Strategic asset allocation of a reserves' portfolio: hedging against shocks
• Risk Analysis in Finance and Insurance
• Macro-Finance*
• Extending the Merton model with applications to credit value adjustment

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